This work considers an optimal inventory control problem using a long-term average criterion. In absence of ordering, the inventory process is modeled by a one-dimensional diffusion on some interval of \((-\infty, \infty)\) with general drift and diffusion coefficients and boundary points that are... read more

Finite difference methods are awkward for solving boundary value problems, such as the Dirichlet problem, with general boundaries, but they are well suited for interface problems, which have prescribed jumps across a general interface or boundary. The two problems can be connected through... read more

Simulation-based strategies bring the machine learning toolbox to numerical resolution of stochastic control models. I will begin by reviewing the history of this idea, starting with the seminal work by Longstaff-Schwartz and through the popularized Regression Monte Carlo framework. I will then... read more

An increasing number of time-consuming simulators exhibit a complex noise structure that depends on the inputs. To conduct studies with limited budgets of evaluations, new surrogate methods are required to model simultaneously the mean and variance fields. To this end, we present recent advances in... read more